If you're using WinXP and have even remotely recent updates, the security level that your browser sets to as a default may look the same but it uses more restrictive rules. It may let you set a cookie but will enter the cookie from a site that doesn't display a "security certificate" as a "temporary" cookie that disappears when you leave the site.
In Internet Explorer, you should click Tools then Internet Options and click the Privacy Tab at the top. Click the Sites button and type mudcat.org in the box, and then click the Allow button. The site name mudcat.org should appear in the lower box with the notation Always Allow in the right pane.
Once this is done, IE can accept a "permanent" cookie (the normal kind you want from mudcat) and will remember who you are when you come back.
Note that at this same place, you can block cookies from a specific site, should you run into a problem with one, although blocking a site's cookies may affect what pleasures the site will allow you when you visit it. A good popup blocker and anti Spyware (Adware) program is a better way to block, or periodically clean up, the general run of annoyances.
Other browsers should have a similar place where you can give permission for permanent cookies.